Details about Stanislav Anatolyev

Access statistics for papers by Stanislav Anatolyev.

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Short-id: pan48

Working Papers

2015

1. Foreign exchange predictability during the financial crisis: implications for carry trade profitability
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
2. Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage
   Working Papers, Center for Economic and Financial Research (CEFIR)
3. Multivariate return decomposition: theory and implications
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta

2013

4. Reconstructing high dimensional dynamic distributions from distributions of lower dimension
   Working Papers, Center for Economic and Financial Research (CEFIR)
   Also in Working Papers, Concordia University, Department of Economics (2012)

2012

5. Instrumental variables estimation and inference in the presence of many exogenous regressors
   Working Papers, Center for Economic and Financial Research (CEFIR) View citations (1)
   See also Journal Article in Econometrics Journal (2013)

2011

6. Sequential Testing with Uniformly Distributed Size
   Working Papers, Center for Economic and Financial Research (CEFIR)

2009

7. Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches
   Working Papers, Center for Economic and Financial Research (CEFIR) View citations (1)
8. Inference in Regression Models with Many Regressors
   Working Papers, Center for Economic and Financial Research (CEFIR) View citations (2)
   See also Journal Article in Journal of Econometrics (2012)

2008

9. Specification Testing in Models with Many Instruments
   Working Papers, Center for Economic and Financial Research (CEFIR) View citations (5)
   See also Journal Article in Econometric Theory (2011)

2007

10. Inference about predictive ability when there are many predictors
    Working Papers, Center for Economic and Financial Research (CEFIR) View citations (7)
11. Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2007) View citations (6)
    Working papers, Wisconsin Madison - Social Systems (2001) View citations (1)
    See also Journal Article in Econometric Reviews (2009)
12. Modeling Financial Return Dynamics by Decomposition
    Working Papers, Center for Economic and Financial Research (CEFIR) View citations (2)

2006

13. Dynamic modeling under linear-exponential loss
    Working Papers, Center for Economic and Financial Research (CEFIR)
    See also Journal Article in Economic Modelling (2009)
14. Nonparametric retrospection and monitoring of predictability of financial returns
    Working Papers, Center for Economic and Financial Research (CEFIR) View citations (2)
    See also Journal Article in Journal of Business & Economic Statistics (2009)
15. Tests in contingency tables as regression tests
    Working Papers, Center for Economic and Financial Research (CEFIR)
    See also Journal Article in Economics Letters (2009)
16. Trade intensity in the Russian stock market:dynamics, distribution and determinants
    Working Papers, Center for Economic and Financial Research (CEFIR)
    See also Journal Article in Applied Financial Economics (2007)

2005

17. A Ten-year retrospection of the behavior of Russian stock returns
    BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition View citations (6)
18. Optimal Instruments in Time Series: A Survey
    Working Papers, Center for Economic and Financial Research (CEFIR)
    See also Journal Article in Journal of Economic Surveys (2007)

1999

19. Feasible Optimal Instrumental Variables Estimation of Linear Models with Moving Average Disturbances
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
    Also in Working papers, Wisconsin Madison - Social Systems (1999) View citations (1)

Journal Articles

2017

1. ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
   Econometric Theory, 2017, 33, (03), 717-738
2. Foreign exchange predictability and the carry trade: A decomposition approach
   Journal of Empirical Finance, 2017, 42, (C), 199-211

2016

3. Uncovering the Skewness News Impact Curve
   Journal of Financial Econometrics, 2016, 14, (4), 746-771

2015

4. Missing mean does no harm to volatility!
   Economics Letters, 2015, 134, (C), 62-64
5. Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting
   Econometrics, 2015, 3, (3), 1-23

2014

6. An algorithm for constructing high dimensional distributions from distributions of lower dimension
   Economics Letters, 2014, 123, (3), 257-261 View citations (1)

2013

7. Asymptotic variance under many instruments: Numerical computations
   Economics Letters, 2013, 118, (2), 272-274
8. Instrumental variables estimation and inference in the presence of many exogenous regressors
   Econometrics Journal, 2013, 16, (1), 27-72 View citations (3)
   See also Working Paper (2012)
9. Objects of nonstructural time series modeling (in Russian)
   Quantile, 2013, (11), 1-12

2012

10. ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST
    Econometric Theory, 2012, 28, (01), 239-246 View citations (2)
11. Asymptotics of near unit roots (in Russian)
    Quantile, 2012, (10), 57-71
12. Inference in regression models with many regressors
    Journal of Econometrics, 2012, 170, (2), 368-382 View citations (6)
    See also Working Paper (2009)

2011

13. SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS
    Econometric Theory, 2011, 27, (02), 427-441 View citations (5)
    See also Working Paper (2008)

2010

14. Modeling Financial Return Dynamics via Decomposition
    Journal of Business & Economic Statistics, 2010, 28, (2), 232-245 View citations (20)

2009

15. Dynamic modeling under linear-exponential loss
    Economic Modelling, 2009, 26, (1), 82-89 View citations (3)
    See also Working Paper (2006)
16. Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
    Econometric Reviews, 2009, 28, (5), 441-467 View citations (8)
    See also Working Paper (2007)
17. Multi-Market Direction-of-Change Modeling Using Dependence Ratios
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (1), 1-24 View citations (5)
18. Nonparametric Retrospection and Monitoring of Predictability of Financial Returns
    Journal of Business & Economic Statistics, 2009, 27, (2), 149-160 View citations (1)
    See also Working Paper (2006)
19. Nonparametric regression (in Russian)
    Quantile, 2009, (7), 37-52
20. Tests in contingency tables as regression tests
    Economics Letters, 2009, 105, (2), 189-192
    See also Working Paper (2006)
21. Where to find data on the Web? (in Russian)
    Quantile, 2009, (6), 59-71

2008

22. A 10-year retrospective on the determinants of Russian stock returns
    Research in International Business and Finance, 2008, 22, (1), 56-67 View citations (6)
23. Making econometric reports (in Russian)
    Quantile, 2008, (4), 71-78
24. Method-of-moments estimation and choice of instruments: Numerical computations
    Economics Letters, 2008, 100, (2), 217-220
25. Review of English textbooks in time series analysis (in Russian)
    Quantile, 2008, (5), 49-55

2007

26. OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY
    Journal of Economic Surveys, 2007, 21, (1), 143-173
    See also Working Paper (2005)
27. Optimal instruments (in Russian)
    Quantile, 2007, (2), 61-69
28. REDUNDANCY OF LAGGED REGRESSORS REVISITED
    Econometric Theory, 2007, 23, (02), 364-368 View citations (3)
29. Review of English textbooks in econometrics (in Russian)
    Quantile, 2007, (3), 73-82
30. The basics of bootstrapping (in Russian)
    Quantile, 2007, (3), 1-12 View citations (2)
31. Trade intensity in the Russian stock market: dynamics, distribution and determinants
    Applied Financial Economics, 2007, 17, (2), 87-104 View citations (10)
    See also Working Paper (2006)
32. Using All Observations when Forecasting under Structural Breaks
    Finnish Economic Papers, 2007, 20, (2), 166-176 View citations (1)

2006

33. Kernel estimation under linear-exponential loss
    Economics Letters, 2006, 91, (1), 39-43 View citations (2)
34. Testing for predictability (in Russian)
    Quantile, 2006, (1), 39-42

2005

35. A Trading Approach to Testing for Predictability
    Journal of Business & Economic Statistics, 2005, 23, 455-461 View citations (25)
36. AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS
    Econometric Theory, 2005, 21, (02), 472-476 View citations (1)
37. GMM, GEL, Serial Correlation, and Asymptotic Bias
    Econometrica, 2005, 73, (3), 983-1002 View citations (28)

2004

38. Inference when a nuisance parameter is weakly identified under the null hypothesis
    Economics Letters, 2004, 84, (2), 245-254

2003

39. 02.5.2. Durbin Watson Statistic and Random Individual Effects
    Econometric Theory, 2003, 19, (05), 882-883 View citations (1)
40. 02.6.2. Autoregression and Redundant InstrumentsSolution
    Econometric Theory, 2003, 19, (06), 1197-1198
41. 03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression
    Econometric Theory, 2003, 19, (01), 225-226
42. THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS
    Econometric Theory, 2003, 19, (04), 602-609 View citations (3)
43. The term structure of Russian interest rates
    Applied Economics Letters, 2003, 10, (13), 867-870 View citations (4)

2002

44. Electoral behavior of US counties: a panel data approach
    Economics Bulletin, 2002, 3, (9), 1-10
45. Markov chain approximation in bootstrapping autoregressions
    Economics Bulletin, 2002, 3, (19), 1-8 View citations (4)

1999

46. Nonparametric estimation of nonlinear rational expectation models
    Economics Letters, 1999, 62, (1), 1-6 View citations (1)

Editor

1. Quantile
   Quantile